How do I get my name legally changed?

Ok, really dumb question, but where do I have to go? Can I do this online?
What is involved? And for everything else I have to change (credit card, drivers lisence etc) do I have to show my marriage certificate to ALL of them??

There's a thread somwhere around here with all the details, I'll try to find it and bump it for you but in the meantime I'll give you what I know:

Start with your Social Security card. You have to go to the SS office with your marriage documents and IDs.

Then goto DMV and do your license, car title and registration

My credit cards didn't require the marriage certificate, just a phone call and some verification info.

After those major ones are done - it makes the other stuff easier.

Don't forget to do:

-your passport
-your auto insurance

I am just beginning this process myself. I called Social Security today and you can either do it in person at their local offices or by mail, but you would have to mail the official (not xeroxed) copies of your marriage license and birth certificate. They mail them back, but I wouldn't want to risk losing them, so I am going to go in person. Besides the two docs I mentioned, they said to bring a drivers license.

Also, I found out I can get my maiden name officially changed to my middle name at the same time.